Causal Link Discovery with Unequal Edge Error Tolerance

Abstract: This paper proposes a novel framework for causal discovery with asymmetric error control, called Neyman-Pearson causal discovery. Despite the importance of applications where different types of edge errors may have different importance, current state-of-the-art causal discovery algorithms do not differentiate between the types of edge errors, nor provide any finite-sample guarantees on the edge errors. Hence, this framework seeks to minimize one type of error while keeping the other below a user-specified tolerance level. Using techniques from information theory, fundamental performance limits are found, characterized by the R\'enyi divergence, for Neyman-Pearson causal discovery. Furthermore, a causal discovery algorithm is introduced for the case of linear additive Gaussian noise models, called epsilon-CUT, that provides finite-sample guarantees on the false positive rate, while staying competitive with state-of-the-art methods.